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Forecasting international REITs volatility : the role of oil-price uncertainty

Wang, Jiqian; Gupta, Rangan; Çepni, Oğuzhan; Ma, Feng - 2021

Persistent link: https://www.econbiz.de/10012661162

Stock market bubbles and the forecastability of gold returns (and volatility)

Gabauer, David; Gupta, Rangan; Karmakar, Sayar; … - 2022

Persistent link: https://www.econbiz.de/10013253753

The role of oil futures intraday information on predicting US stock market volatility

Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74

This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the...

Persistent link: https://www.econbiz.de/10013206077

Stock market bubbles and the realized volatility of oil price returns

Gupta, Rangan; Nielsen, Joshua; Pierdzioch, Christian - 2023

Persistent link: https://www.econbiz.de/10014329736

Stock market volatility and multi-scale positive and negative bubbles

Gupta, Rangan; Nel, Jacobus; Nielsen, Joshua; … - 2023

Persistent link: https://www.econbiz.de/10014281697

Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty

Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - 2023

Persistent link: https://www.econbiz.de/10014369400